View source: R/Srho.ts_files.R
Srho.ts | R Documentation |
Entropy based measure of serial and cross dependence for continuous data. For integer/categorical data see Srho
.
Implements a normalized version of the Hellinger/Matusita distance. As shown in the references the metric measure is a proper distance.
Srho.ts(x, y, lag.max = 10, bw = c("reference", "mlcv", "lscv", "scv", "pi"),
bdiag=TRUE, method = c("integral", "summation"), plot = TRUE, tol = 0.001, ...)
x, y |
univariate numeric time series object or numeric vectors ( |
lag.max |
maximum lag at which to calculate Srho; default is 10 |
bw |
Object of class |
bdiag |
Object of class |
method |
Object of class |
plot |
logical. If |
tol |
max. tolerance, passed to |
... |
further arguments, typically passed to |
Srho.ts(x, lag.max = 10, bw = c("reference", "mlcv", "lscv", "scv", "pi"), bdiag=TRUE, method = c("integral", "summation"), plot = TRUE, tol = 0.001)
Srho.ts(x, y, lag.max = 10, bw = c("reference", "mlcv", "lscv", "scv", "pi"), bdiag=TRUE, method = c("integral", "summation"), plot = TRUE, tol = 0.001)
The bandwidth selection methods are the following:
reference
:reference criterion.
mlcv
:maximum likelihood cross-validation.
lscv
:least-squares cross-validation, see Hlscv
.
scv
:smoothed cross-validation, see Hscv
pi
:plugin, see Hpi
If bdiag = TRUE
(the default), the diagonal bandwidth selectors Hlscv.diag
,
Hscv.diag
, Hpi.diag
are used.
An object of class "Srho.ts", with the following slots:
.Data |
Object of class |
method |
Object of class |
bandwidth |
Object of class |
lags |
Object of class |
stationary |
Object of class |
data.type |
Object of class |
notes |
Object of class |
Simone Giannerini<simone.giannerini@unibo.it>
Granger C. W. J., Maasoumi E., Racine J., (2004) A dependence metric for possibly nonlinear processes. Journal of Time Series Analysis, 25(5), 649–669.
Maasoumi E., (1993) A compendium to information theory in economics and econometrics. Econometric Reviews, 12(2), 137–181.
Giannerini S., Maasoumi E., Bee Dagum E., (2015), Entropy testing for nonlinear serial dependence in time series, Biometrika, 102(3), 661–675 \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1093/biomet/asv007")}.
Srho.test.ts
, hcubature
, ks
.
The function Srho
implements the same measure for integer/categorical data.
set.seed(11)
x <- arima.sim(list(order = c(1,0,0), ar = 0.8), n = 50)
S <- Srho.ts(x,lag.max=5,method="integral",bw="mlcv")
# creates a nonlinear dependence at lag 1
y <- c(runif(1),x[-50]^2*0.8-0.3)
S <- Srho.ts(x,y,lag.max=3,method="integral",bw="mlcv")
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